Intro
In the backtesting analysis, I have established several different profitable strategies for timing entry/exits. Visit the BTC page to see how these signals were identified.
Simple moving average (SMA)
Exponential moving average (EMA)
SMA crosses
EMA crosses
Directional movement index (DMI)
True strength index (TSI) BEST
Stochastic oscillator (stoch)
Double RSI
Donchian channel
Know sure thing (KST)
Ensembl indicator
This script will examine the price action and these trade signals just before the daily close. If the signal is TRUE, it is bullish and if FALSE it is bearish. When there is a switch from bearish to bullish it is a buy signal and when it switches from bullish to bearish it is a sell signal. This HTML is updated just before the daily close each day, but push notifications for any trade signals are also sent by push bullet.
To receive these signals in real-time, subscribe to the following channels - it’s free for a limited time!
https://www.pushbullet.com/channel?tag=btc_signal
If you need some help to design your own trading signals/strategies, I am happy to help for a fee. email me at mark.ziemann{αt}gmail.com for any enquiries/suggestions/feedback.
This report is distributed for FREE under the MIT licence, but if you find it useful, consider a small tip.
Reminder: this analysis is not financial advice.
suppressPackageStartupMessages({
library("jsonlite")
library("tidyverse")
library("runner")
library("quantmod")
library("TTR")
library("RPushbullet")
library("kableExtra")
})
TESTING = FALSE
MYNOTE = NULL
mydate <- Sys.time()
attr(mydate, "tzone") <- "UTC"
mydate <- as.Date(mydate)
Get BTC parameters
params <- read.table("https://mdz-analytics.com/coins/BTC/BTC_dat.txt", header=TRUE)
params %>% kbl(caption="optimised backtested parameters") %>% kable_styling("hover", full_width = F)
| indicator | parameter | meanROI | totalROI | ntrades | ndays | xhodl |
|---|---|---|---|---|---|---|
| SMA | 44 | 1.154362 | 914.2692 | 83 | 3404 | 5.853695 |
| EMA | 76 | 1.224865 | 633.1203 | 57 | 3404 | 4.053613 |
| SMAcross | 44,8 | 1.383369 | 1544.3129 | 37 | 3404 | 9.887610 |
| EMAcross | 56,26 | 2.856009 | 1574.6489 | 15 | 3404 | 10.081839 |
| DMI | 128 | 5.160312 | 948.1809 | 12 | 3404 | 6.070818 |
| DC | 21 | 1.326361 | 661.1740 | 37 | 3404 | 4.233229 |
| TSI | 100,4,15 | 1.132427 | 1261.2834 | 99 | 3404 | 8.075487 |
| stoch | 16,54,6 | 1.132085 | 729.6873 | 87 | 3404 | 4.671893 |
| RSI2 | 57,95 | 1.129494 | 659.8321 | 103 | 3404 | 4.224638 |
| KST | 1.7,0.18,19 | 1.173615 | 1301.0709 | 83 | 3404 | 8.330230 |
| Ensemble | SMAcross,EMAcross,DMI,TSI,stoch,DC,KST,2 | 1.611814 | 2691.2032 | 51 | 3404 | 18.189243 |
Get BTC price data
Obtaining BTC price data (daily) for the last 300 days and today’s price.
URL="https://web-api.coinmarketcap.com/v1/cryptocurrency/ohlcv/historical?symbol=BTC&convert=USD&interval=daily&count=300"
download.file(URL,destfile="btcdat.txt")
btcdat <- fromJSON("btcdat.txt")
price <- btcdat$data$quotes
price <- data.frame( as.Date(price$time_close) , price$quote$USD$high, price$quote$USD$low, price$quote$USD$close)
colnames(price) <- c("date","high","low","close")
URL="https://web-api.coinmarketcap.com/v1/cryptocurrency/ohlcv/historical?symbol=BTC&convert=USD&interval=hourly&time_period=hourly&count=11"
download.file(URL,destfile="btcdat.txt")
btcdat <- fromJSON("btcdat.txt")
price2 <- btcdat$data$quotes
price2 <- data.frame( as.Date(price2$time_close) , price2$quote$USD$high, price2$quote$USD$low, price2$quote$USD$close,stringsAsFactors=FALSE)
colnames(price2) <- c("date","high","low","close")
high <- max(price2[,2])
low <- min(price2[,3])
close <- price2[nrow(price2),4]
df <- data.frame(date=mydate,high=high,low=low,close=close,stringsAsFactors=FALSE)
price <- rbind(price,df)
tail(price) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close |
|---|---|---|---|
| 2022-09-24 | 19310.20 | 18861.97 | 18937.01 |
| 2022-09-25 | 19134.73 | 18696.47 | 18802.10 |
| 2022-09-26 | 19274.87 | 18721.29 | 19222.67 |
| 2022-09-27 | 20338.46 | 18915.67 | 19110.55 |
| 2022-09-28 | 19688.34 | 18553.30 | 19426.72 |
| 2022-09-29 | 19574.06 | 18924.35 | 19452.39 |
if ( TESTING == TRUE) {
price[nrow(price),"Close"] <- price[nrow(price),"Close"] * 2
}
BTC SMA indicator
Now to determine whether BTC has crossed the SMA line.
price2 <- price
n <- as.numeric(params[params$indicator == "SMA",2])
price2$ma <- SMA(Cl(price2),n=n)
price2$signal <- price2$close > price2$ma
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma | signal |
|---|---|---|---|---|---|
| 2022-09-24 | 19310.20 | 18861.97 | 18937.01 | 20814.90 | FALSE |
| 2022-09-25 | 19134.73 | 18696.47 | 18802.10 | 20687.61 | FALSE |
| 2022-09-26 | 19274.87 | 18721.29 | 19222.67 | 20569.40 | FALSE |
| 2022-09-27 | 20338.46 | 18915.67 | 19110.55 | 20451.01 | FALSE |
| 2022-09-28 | 19688.34 | 18553.30 | 19426.72 | 20343.96 | FALSE |
| 2022-09-29 | 19574.06 | 18924.35 | 19452.39 | 20243.26 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
btc_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
btc_signal="SELL"
}
} else {
btc_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_SMA=TRUE
} else {
ens_SMA=FALSE
}
message(paste("BTC SMA signal:",btc_signal))
## BTC SMA signal: NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="BTC w SMA")
grid()
lines(price2$ma~ as.Date(price2$date) ,col="red")
if ( btc_signal != "NONE") {
MYNOTE <- paste("The BTC SMA signal is", btc_signal,".")
}
BTC EMA indicator
Now to determine whether BTC has crossed the EMA line.
price2 <- price
n <- as.numeric(params[params$indicator == "EMA",2])
price2$ma <- EMA(Cl(price2),n=n)
price2$signal <- price2$close > price2$ma
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma | signal |
|---|---|---|---|---|---|
| 2022-09-24 | 19310.20 | 18861.97 | 18937.01 | 21745.76 | FALSE |
| 2022-09-25 | 19134.73 | 18696.47 | 18802.10 | 21669.30 | FALSE |
| 2022-09-26 | 19274.87 | 18721.29 | 19222.67 | 21605.75 | FALSE |
| 2022-09-27 | 20338.46 | 18915.67 | 19110.55 | 21540.94 | FALSE |
| 2022-09-28 | 19688.34 | 18553.30 | 19426.72 | 21486.03 | FALSE |
| 2022-09-29 | 19574.06 | 18924.35 | 19452.39 | 21433.21 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
btc_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
btc_signal="SELL"
}
} else {
btc_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_EMA=TRUE
} else {
ens_EMA=FALSE
}
message(paste("BTC EMA signal:",btc_signal))
## BTC EMA signal: NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="BTC EMA")
grid()
lines(price2$ma~ as.Date(price2$date) ,col="red")
if ( btc_signal != "NONE") {
MYNOTE <- paste("The BTC EMA signal is", btc_signal,".")
}
BTC SMA cross indicator
The SMA cross is a reasonably good strategy.
price2 <- price
n <- as.numeric(unlist(strsplit(params[params$indicator == "SMAcross",2],",")))
n1 <- n[1]
n2 <- n[2]
price2$ma1 <- SMA(Cl(price2),n=n1)
price2$ma2 <- SMA(Cl(price2),n=n2)
price2$signal <- price2$ma2 > price2$ma1
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma1 | ma2 | signal |
|---|---|---|---|---|---|---|
| 2022-09-24 | 19310.20 | 18861.97 | 18937.01 | 20814.90 | 19272.20 | FALSE |
| 2022-09-25 | 19134.73 | 18696.47 | 18802.10 | 20687.61 | 19106.52 | FALSE |
| 2022-09-26 | 19274.87 | 18721.29 | 19222.67 | 20569.40 | 19081.91 | FALSE |
| 2022-09-27 | 20338.46 | 18915.67 | 19110.55 | 20451.01 | 19027.71 | FALSE |
| 2022-09-28 | 19688.34 | 18553.30 | 19426.72 | 20343.96 | 19094.70 | FALSE |
| 2022-09-29 | 19574.06 | 18924.35 | 19452.39 | 20243.26 | 19207.83 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
btc_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
btc_signal="SELL"
}
} else {
btc_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_SMAcross=TRUE
} else {
ens_SMAcross=FALSE
}
message(paste("BTC SMA cross signal:",btc_signal))
## BTC SMA cross signal: NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="BTC w SMA cross")
grid()
lines(price2$ma1~ as.Date(price2$date) ,col="red")
lines(price2$ma2~ as.Date(price2$date) ,col="blue")
if ( btc_signal != "NONE") {
MYNOTE <- paste(MYNOTE, "The BTC SMA cross signal is", btc_signal,".")
}
BTC EMA cross indicator
The EMA cross is a moderately profitable strategy.
price2 <- price
n <- as.numeric(unlist(strsplit(params[params$indicator == "EMAcross",2],",")))
n1 <- n[1]
n2 <- n[2]
price2$ma1 <- EMA(Cl(price2),n=n1)
price2$ma2 <- EMA(Cl(price2),n=n2)
price2$signal <- price2$ma2 > price2$ma1
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma1 | ma2 | signal |
|---|---|---|---|---|---|---|
| 2022-09-24 | 19310.20 | 18861.97 | 18937.01 | 20984.03 | 20031.22 | FALSE |
| 2022-09-25 | 19134.73 | 18696.47 | 18802.10 | 20907.47 | 19940.18 | FALSE |
| 2022-09-26 | 19274.87 | 18721.29 | 19222.67 | 20848.36 | 19887.03 | FALSE |
| 2022-09-27 | 20338.46 | 18915.67 | 19110.55 | 20787.38 | 19829.51 | FALSE |
| 2022-09-28 | 19688.34 | 18553.30 | 19426.72 | 20739.64 | 19799.68 | FALSE |
| 2022-09-29 | 19574.06 | 18924.35 | 19452.39 | 20694.47 | 19773.95 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
btc_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
btc_signal="SELL"
}
} else {
btc_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_EMAcross=TRUE
} else {
ens_EMAcross=FALSE
}
message(paste("BTC EMA cross signal is",btc_signal))
## BTC EMA cross signal is NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="BTC EMA cross")
grid()
lines(price2$ma1~ as.Date(price2$date) ,col="red")
lines(price2$ma2~ as.Date(price2$date) ,col="blue")
if ( btc_signal != "NONE") {
MYNOTE <- paste(MYNOTE, "The BTC EMA cross signal is", btc_signal,".")
}
BTC DMI indicator
Directional movement indicator is a good approach to identify trend changes.
n <- as.numeric(params[params$indicator == "DMI",2])
dmi.adx <- ADX(price[,c("high","low","close")],n=n)
price2 <- cbind(price,dmi.adx)
price2$signal <- dmi.adx[,1] > dmi.adx[,2]
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | DIp | DIn | DX | ADX | signal |
|---|---|---|---|---|---|---|---|---|
| 2022-09-24 | 19310.20 | 18861.97 | 18937.01 | 18.77333 | 27.24031 | 18.40103 | 17.89867 | FALSE |
| 2022-09-25 | 19134.73 | 18696.47 | 18802.10 | 18.72439 | 27.26775 | 18.57569 | 17.90396 | FALSE |
| 2022-09-26 | 19274.87 | 18721.29 | 19222.67 | 18.74619 | 27.17755 | 18.35949 | 17.90752 | FALSE |
| 2022-09-27 | 20338.46 | 18915.67 | 19110.55 | 19.22200 | 26.94666 | 16.73139 | 17.89833 | FALSE |
| 2022-09-28 | 19688.34 | 18553.30 | 19426.72 | 19.09159 | 26.98044 | 17.12286 | 17.89227 | FALSE |
| 2022-09-29 | 19574.06 | 18924.35 | 19452.39 | 19.01716 | 26.87525 | 17.12286 | 17.88626 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
btc_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
btc_signal="SELL"
}
} else {
btc_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_DMI=TRUE
} else {
ens_DMI=FALSE
}
message(paste("BTC DMI signal:",btc_signal))
## BTC DMI signal: NONE
price2 <- as.data.frame(price2)
par(mfrow=c(2,1))
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="BTC USD price")
grid()
plot(price2$DIp~as.Date(price2$date),type="l", col="blue",
xlab="Date",ylab="price (USD)",main="BTC DMI")
grid()
lines(price2$DIn ~ as.Date(price2$date) ,col="red")
if ( btc_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"BTC DMI signal is", btc_signal,".")
}
BTC TSI indicator
True Strength Indicator is one of the more profitable approaches. Its success lies in how it changes rapidly when momentum shifts. For most coins, this indicator performs “best” in backtesting analysis, which means it should carry relatively more weight than other indicators.
n <- as.numeric(unlist(strsplit(params[params$indicator == "TSI",2],",")))
n1 <- n[1]
n2 <- n[2]
ns <- n[3]
TSI <- function(x, n.first = 25, n.second = 13, n.signal = 7) {
#True Strength Indicator
#https://school.stockcharts.com/doku.php?id=technical_indicators:true_strength_index
x <- try.xts(x, error = as.matrix)
pc <- x - lag.xts(x, na.pad = T) #force lag.xts to get na padding
dspc <- EMA(EMA(pc, n = n.first), n = n.second)
dsapc <- EMA(EMA(abs(pc), n = n.first), n = n.second)
tsi <- 100 * (dspc/dsapc)
signal <- EMA(tsi, n = n.signal)
r <- cbind(tsi, signal)
r <- reclass(r, x)
if (!is.null(dim(r))) colnames(r) <- c("tsi", "signal")
return(r)
}
tsi <- TSI(price$close , n.first = n1, n.second = n2, n.signal = ns )
colnames(tsi) <- c("tsi","sig")
price2 <- cbind(price,tsi)
price2$signal <- tsi[,1] > tsi[,2]
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | tsi | sig | signal |
|---|---|---|---|---|---|---|
| 2022-09-24 | 19310.20 | 18861.97 | 18937.01 | -14.35621 | -13.66366 | FALSE |
| 2022-09-25 | 19134.73 | 18696.47 | 18802.10 | -14.66811 | -13.78922 | FALSE |
| 2022-09-26 | 19274.87 | 18721.29 | 19222.67 | -14.13987 | -13.83305 | FALSE |
| 2022-09-27 | 20338.46 | 18915.67 | 19110.55 | -13.96778 | -13.84989 | FALSE |
| 2022-09-28 | 19688.34 | 18553.30 | 19426.72 | -13.31960 | -13.78360 | TRUE |
| 2022-09-29 | 19574.06 | 18924.35 | 19452.39 | -12.88504 | -13.67128 | TRUE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
btc_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
btc_signal="SELL"
}
} else {
btc_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_TSI=TRUE
} else {
ens_TSI=FALSE
}
message(paste("BTC TSI signal:",btc_signal))
## BTC TSI signal: NONE
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(tsi[,1] ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="TSI",main="TSI")
lines(as.Date(price2$date), tsi[,2] , col="red" )
grid()
par(mfrow=c(1,1))
if ( btc_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"BTC TSI signal is", btc_signal,".")
}
BTC stochastic oscillator indicator
Similar to the TSI, the stoch can pinpoint early changes in momentum, however it may give many false positives.
n <- as.numeric(unlist(strsplit(params[params$indicator == "stoch",2],",")))
n1 <- n[1]
n2 <- n[2]
n3 <- n[3]
sto <- stoch(HLC(price), nFastK=n1 , nFastD=n2 , nSlowD=n2 , bounded = TRUE, smooth=n3)
price2 <- cbind(price,sto)
price2$signal <- price2$fastK > price2$fastD
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | fastK | fastD | slowD | signal |
|---|---|---|---|---|---|---|---|
| 2022-09-24 | 19310.20 | 18861.97 | 18937.01 | 0.1796336 | 0.3831576 | 0.5048215 | FALSE |
| 2022-09-25 | 19134.73 | 18696.47 | 18802.10 | 0.1544441 | 0.3717256 | 0.5032955 | FALSE |
| 2022-09-26 | 19274.87 | 18721.29 | 19222.67 | 0.1702777 | 0.3618812 | 0.5015223 | FALSE |
| 2022-09-27 | 20338.46 | 18915.67 | 19110.55 | 0.1916893 | 0.3537722 | 0.4995370 | FALSE |
| 2022-09-28 | 19688.34 | 18553.30 | 19426.72 | 0.1921901 | 0.3460807 | 0.4973039 | FALSE |
| 2022-09-29 | 19574.06 | 18924.35 | 19452.39 | 0.2162139 | 0.3392218 | 0.4947980 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
btc_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
btc_signal="SELL"
}
} else {
btc_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_stoch=TRUE
} else {
ens_stoch=FALSE
}
message(paste("BTC stoch signal:",btc_signal))
## BTC stoch signal: NONE
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(price2$fastK ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="index",main="stochastic oscillator")
lines(as.Date(price2$date), price2$fastD , col="red" )
grid()
par(mfrow=c(1,1))
if ( btc_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"BTC Stoch signal is", btc_signal,".")
}
BTC double RSI indicator
Double RSI is simply two RSI lines.
n <- as.numeric(unlist(strsplit(params[params$indicator == "RSI2",2],",")))
n1 <- n[1]
n2 <- n[2]
rsi1 <- RSI(price$close,n=n1,maType=EMA)
rsi2 <- RSI(price$close,n=n2,maType=EMA)
price2 <- cbind(price,rsi1,rsi2)
price2$signal <- price2$rsi1 > price2$rsi2
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | rsi1 | rsi2 | signal |
|---|---|---|---|---|---|---|
| 2022-09-24 | 19310.20 | 18861.97 | 18937.01 | 42.36940 | 42.61492 | FALSE |
| 2022-09-25 | 19134.73 | 18696.47 | 18802.10 | 41.95434 | 42.38625 | FALSE |
| 2022-09-26 | 19274.87 | 18721.29 | 19222.67 | 43.73398 | 43.35395 | TRUE |
| 2022-09-27 | 20338.46 | 18915.67 | 19110.55 | 43.36684 | 43.15659 | TRUE |
| 2022-09-28 | 19688.34 | 18553.30 | 19426.72 | 44.72209 | 43.89217 | TRUE |
| 2022-09-29 | 19574.06 | 18924.35 | 19452.39 | 44.83309 | 43.95230 | TRUE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
btc_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
btc_signal="SELL"
}
} else {
btc_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_RSI2=TRUE
} else {
ens_RSI2=FALSE
}
message(paste("BTC RSI signal:",btc_signal))
## BTC RSI signal: NONE
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(price2$rsi1 ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="index",main="double RSI")
lines(as.Date(price2$date), price2$rsi2 , col="red" )
grid()
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(price2$rsi1/price2$rsi2 ~ as.Date(price2$date),type="l",
xlab="Date",ylab="RSI ratio",main="double RSI")
grid()
abline(h=1,lty=2,lwd=2)
par(mfrow=c(1,1))
if ( btc_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"BTC RSI2 signal is", btc_signal,".")
}
BTC Donchian channel indicator
n <- as.numeric(params[params$indicator == "DC",2])
price2 <- price[1:nrow(price)-1,]
dc <- DonchianChannel(price2$close,n=n)
price2$higher <- c(NA,sapply(2:nrow(dc),function(i) {
dc[i,"high"] > dc[(i-1),"high"]
} ))
price2$lower <- c(NA,sapply(2:nrow(dc),function(i) {
dc[i,"low"] < dc[(i-1),"low"]
} ))
price2 <- price2[price2$higher != price2$lower,]
# show changing rows only
price2 <- price2[c(NA,unlist(lapply(2:nrow(price2) , function(i) {
price2$higher[i] != price2$higher[i-1]
}))),]
price2 <- price2[!is.na(price2$higher),]
previous_signal <- price2[nrow(price2),"higher"]
price2 <- price
dc <- DonchianChannel(price2$close,n=n)
colnames(dc) <- c("dchigh","dcmid","dclow")
price2 <- cbind(price2,dc)
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | dchigh | dcmid | dclow |
|---|---|---|---|---|---|---|
| 2022-09-24 | 19310.20 | 18861.97 | 18937.01 | 22370.45 | 20458.92 | 18547.4 |
| 2022-09-25 | 19134.73 | 18696.47 | 18802.10 | 22370.45 | 20458.92 | 18547.4 |
| 2022-09-26 | 19274.87 | 18721.29 | 19222.67 | 22370.45 | 20458.92 | 18547.4 |
| 2022-09-27 | 20338.46 | 18915.67 | 19110.55 | 22370.45 | 20458.92 | 18547.4 |
| 2022-09-28 | 19688.34 | 18553.30 | 19426.72 | 22370.45 | 20458.92 | 18547.4 |
| 2022-09-29 | 19574.06 | 18924.35 | 19452.39 | 22370.45 | 20458.92 | 18547.4 |
btc_signal="NONE"
# if we in negative territory, check whether time to buy
if ( previous_signal == FALSE ) {
if ( price2[nrow(price2),"dchigh"] > price2[nrow(price2)-1,"dchigh"] ) {
btc_signal="BUY"
}
}
# if we in positive territory, check whether time to sell
if ( previous_signal == TRUE ) {
if ( price2[nrow(price2),"dclow"] < price2[nrow(price2)-1,"dclow"] ) {
btc_signal="SELL"
}
}
if ( btc_signal=="NONE" ) {
today_signal=previous_signal
} else {
if (btc_signal=="BUY") { today_signal = TRUE }
if (btc_signal=="SELL") { today_signal = FALSE }
}
if (today_signal==TRUE) {
ens_DC=TRUE
} else {
ens_DC=FALSE
}
message(paste("BTC DC signal:",btc_signal))
## BTC DC signal: NONE
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price",lwd=2)
grid()
lines(price2$dclow~ as.Date(price2$date),lwd=1.5,col="red")
lines(price2$dchigh~ as.Date(price2$date),lwd=1.5,col="limegreen")
price2 <- tail(price2,100)
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price",lwd=2)
grid()
lines(price2$dclow~ as.Date(price2$date),lwd=1.5,col="red")
lines(price2$dcmid~ as.Date(price2$date),lwd=1.5,col="gray")
lines(price2$dchigh~ as.Date(price2$date),lwd=1.5,col="limegreen")
if ( btc_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"BTC Donchian channel signal is", btc_signal,".")
}
BTC KST indicator
Another high-performing indicator across different price series data.
price2 <- price
n <- as.numeric(unlist(strsplit(params[params$indicator == "KST",2],",")))
nScale <- n[1]
nrocScale <- n[2]
nSigs <- n[3]
kst <- KST(price2$close,n=nScale * c(10, 10, 10, 15) ,
nROC=nrocScale * c(10, 15, 20, 30),
nSig=nSigs)
price2 <- cbind(price2,kst)
price2$KST <- as.numeric(kst[,1]>kst[,2])
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | kst | signal | KST |
|---|---|---|---|---|---|---|
| 2022-09-24 | 19310.20 | 18861.97 | 18937.01 | -4.267549 | -10.533729 | 1 |
| 2022-09-25 | 19134.73 | 18696.47 | 18802.10 | -4.970936 | -9.565604 | 1 |
| 2022-09-26 | 19274.87 | 18721.29 | 19222.67 | -8.278076 | -8.725006 | 1 |
| 2022-09-27 | 20338.46 | 18915.67 | 19110.55 | -11.979918 | -7.983860 | 0 |
| 2022-09-28 | 19688.34 | 18553.30 | 19426.72 | -13.046608 | -7.543171 | 0 |
| 2022-09-29 | 19574.06 | 18924.35 | 19452.39 | -13.676157 | -7.404482 | 0 |
today_signal <- price2[nrow(price2),"KST"]
previous_signal <- price2[(nrow(price2)-1),"KST"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
signal="SELL"
}
} else {
signal <- "NONE"
}
if (today_signal==TRUE) {
ens_DMI=TRUE
} else {
ens_DMI=FALSE
}
message(paste("BTC KST signal:",btc_signal))
## BTC KST signal: NONE
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(kst[,1] ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="KST",main="KST")
lines(as.Date(price2$date), kst[,2] , col="red" )
grid()
par(mfrow=c(1,1))
if ( btc_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"BTC KST signal is", btc_signal,".")
}
BTC Ensemble indicator
This is a combination of a number of indicators.
ens <- params[params$indicator=="Ensemble","parameter"]
myrev <- intToUtf8(rev(utf8ToInt(ens)))
myrev <- unlist(strsplit(myrev,","))
# get thresh
n <- as.numeric(myrev[1])
myrev <- myrev[2:length(myrev)]
# get combination
combo <- sapply(myrev,function(s) { intToUtf8(rev(utf8ToInt(s))) })
message(paste("The combination is",paste(combo,collapse=" ")))
## The combination is KST DC stoch TSI DMI EMAcross SMAcross
message(paste("The buy threshold is",n))
## The buy threshold is 2
indicators <- c("SMA"=ens_SMA,
"EMA"=ens_EMA,
"SMAcross"=ens_SMAcross,
"EMAcross"=ens_EMAcross,
"DMI"=ens_DMI,
"TSI"=ens_TSI,
"stoch"=ens_stoch,
"RSI2"=ens_RSI2,
"DC"=ens_DC)
indicators <- indicators[names(indicators) %in% combo]
message("State of the indicators:")
## State of the indicators:
indicators
## SMAcross EMAcross DMI TSI stoch DC
## FALSE FALSE FALSE TRUE FALSE FALSE
today_count <- sum(indicators)
message(paste("today_count_BTC",today_count,sep="="))
## today_count_BTC=1
today_signal <- today_count>=n
prev_html <- readLines("https://mdz-analytics.com/coins/BTC/alerts_BTC.html")
prev_signal <- length(grep("BTC ensemble indicator is BULLISH",prev_html))>2
btc_signal <- "NONE"
if ( today_signal != prev_signal ) {
if ( today_signal == TRUE ) {
btc_signal="BUY"
} else {
btc_signal="SELL"
}
}
if (today_signal==TRUE) {
message("BTC ensemble indicator is BULLISH")
} else {
message("BTC ensemble indicator is BEARISH")
}
## BTC ensemble indicator is BEARISH
message(paste("BTC ENS signal:",btc_signal))
## BTC ENS signal: NONE
if ( btc_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"BTC Ensemble indicator is", btc_signal,".")
}
Send a push notification.
MYNOTE
## NULL
if ( !is.null(MYNOTE) ) {
MYNOTE <- paste(MYNOTE, ". Visit https://mdz-analytics.com/coins/BTC/alerts_BTC.html for the details")
MYNOTE
pbPost("note", "Crypto Alert", MYNOTE ,channel="btc_signal")
}
Session information
For reproducibility
Click HERE to show session info
sessionInfo()
## R version 4.1.2 (2021-11-01)
## Platform: aarch64-unknown-linux-gnu (64-bit)
## Running under: Ubuntu 22.04.1 LTS
##
## Matrix products: default
## BLAS: /usr/lib/aarch64-linux-gnu/blas/libblas.so.3.10.0
## LAPACK: /usr/lib/aarch64-linux-gnu/lapack/liblapack.so.3.10.0
##
## locale:
## [1] LC_CTYPE=en_AU.UTF-8 LC_NUMERIC=C
## [3] LC_TIME=en_AU.UTF-8 LC_COLLATE=en_AU.UTF-8
## [5] LC_MONETARY=en_AU.UTF-8 LC_MESSAGES=en_AU.UTF-8
## [7] LC_PAPER=en_AU.UTF-8 LC_NAME=C
## [9] LC_ADDRESS=C LC_TELEPHONE=C
## [11] LC_MEASUREMENT=en_AU.UTF-8 LC_IDENTIFICATION=C
##
## attached base packages:
## [1] stats graphics grDevices utils datasets methods base
##
## other attached packages:
## [1] kableExtra_1.3.4 RPushbullet_0.3.4 quantmod_0.4.20 TTR_0.24.3
## [5] xts_0.12.1 zoo_1.8-10 runner_0.4.1 forcats_0.5.1
## [9] stringr_1.4.0 dplyr_1.0.9 purrr_0.3.4 readr_2.1.2
## [13] tidyr_1.2.0 tibble_3.1.8 ggplot2_3.3.6 tidyverse_1.3.2
## [17] jsonlite_1.8.0
##
## loaded via a namespace (and not attached):
## [1] httr_1.4.4 sass_0.4.2 viridisLite_0.4.0
## [4] modelr_0.1.8 bslib_0.4.0 assertthat_0.2.1
## [7] highr_0.9 googlesheets4_1.0.1 cellranger_1.1.0
## [10] yaml_2.3.5 pillar_1.8.0 backports_1.4.1
## [13] lattice_0.20-45 glue_1.6.2 digest_0.6.29
## [16] rvest_1.0.2 colorspace_2.0-3 htmltools_0.5.3
## [19] pkgconfig_2.0.3 broom_1.0.0 haven_2.5.0
## [22] bookdown_0.28 scales_1.2.0 webshot_0.5.3
## [25] svglite_2.1.0 tzdb_0.3.0 googledrive_2.0.0
## [28] generics_0.1.3 ellipsis_0.3.2 cachem_1.0.6
## [31] withr_2.5.0 cli_3.3.0 magrittr_2.0.3
## [34] crayon_1.5.1 readxl_1.4.1 evaluate_0.16
## [37] fs_1.5.2 fansi_1.0.3 xml2_1.3.3
## [40] tools_4.1.2 hms_1.1.1 gargle_1.2.0
## [43] lifecycle_1.0.1 munsell_0.5.0 reprex_2.0.2
## [46] compiler_4.1.2 jquerylib_0.1.4 systemfonts_1.0.4
## [49] rlang_1.0.4 grid_4.1.2 rstudioapi_0.13
## [52] rmarkdown_2.15 gtable_0.3.0 DBI_1.1.3
## [55] curl_4.3.2 R6_2.5.1 lubridate_1.8.0
## [58] knitr_1.39 fastmap_1.1.0 utf8_1.2.2
## [61] stringi_1.7.8 parallel_4.1.2 rmdformats_1.0.4
## [64] Rcpp_1.0.9 vctrs_0.4.1 dbplyr_2.2.1
## [67] tidyselect_1.1.2 xfun_0.32